Forecasting Oil Price by Hierarchical Shrinkage in Dynamic Parameter Models

Table 3

Posterior means and standard deviation of and for exogenous predictors.

Predictor	h = 1		h = 12
	INTERCEPT	1.691E − 03	1.721E − 02	5.852 E − 02	4.832E − 03
4.552E − 03		3.507E − 02	1.455E − 02	7.005E − 03
OD_CONS	1.223E − 03	1.668E − 02	2.247E − 04	5.939E − 03
	2.203E − 03	3.193E − 02	3.202E − 04	8.661E − 03
OD_STOCKS	1.558E − 03	2.320E − 02	1.132E − 03	5.094E − 03
	2.308E − 03	4.347E − 02	2.140E − 03	8.442E − 03
OS_PROD	4.510 E − 03	2.039E − 02	3.591E − 04	4.553E − 03
	6.680E − 03	3.548E − 02	7.997E − 04	6.569E − 03
GOLD	6.845E − 03	1.688E − 02	3.195E − 04	4.943E − 03
	1.034E − 02	3.506E − 02	4.571E − 04	7.695E − 03
US_EX	1.507E − 03	1.884E − 02	6.058E − 04	4.508E − 03
	2.977E − 03	3.919E − 02	1.079E − 03	8.013E − 03
SP500	1.162E − 03	2.338E − 02	1.441E − 03	5.481E − 03
	2.443E − 03	5.809E − 02	1.869E − 03	8.684E − 03
GAS	9.481E − 04	1.380E − 02	6.770E − 04	4.342E − 03
	1.799E − 03	2.929E − 02	1.408E − 03	8.098E − 03
VIX	2.877E − 03	2.454 E − 02	4.482E − 04	9.406 E − 03
	5.570E − 03	5.135E − 02	5.983E − 04	1.401E − 02
IP	8.177E − 04	1.453E − 02	4.197E − 04	4.817E − 03
	1.542E − 03	2.883E − 02	8.323E − 04	7.580E − 03
EPU	2.595E − 03	2.019E − 02	3.585E − 04	6.666 E − 03
	6.928E − 03	3.991E − 02	1.467E − 03	8.442E − 03
KILIAN	2.884E − 03	1.426E − 02	1.337 E − 03	1.239 E − 02
	7.256E − 03	3.152E − 02	1.705E − 03	1.370E − 02
Google	3.367E − 03	2.978 E − 02	9.316E − 04	7.450E − 03
	6.438E − 03	5.414E − 02	9.836E − 04	9.335E − 03

Note. The bold text noted indicates relatively larger value among all and , while the underlined text represents values relatively smaller ones.